From
http://www.hmrc.gov.uk/faqs/general.htm:
If you are an employee on PAYE:
What should I do if I leave my job?
It is important to get a form P45 from your employer. If you don't go to another job and don't start claiming unemployment benefit, you may be entitled to a tax repayment. After a month, ask for a repayment claim form
P50 which you should complete and return to your Tax Office with your P45 Parts 2 and 3 if you have them. We give repayment claims top priority and try to make sure you get any refund you are due within 28 days.